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Rules for the calculation of the net amount of a trade on FTB and on STRIPS

To date, for a same trade (same nominal amount, same yield), and for the same zero-coupon financial instrument, discrepancies are observed on the net amount of the trade depending on the trading platform on which the trade was performed, trading platforms applying their own rounding rule. The CNO recommends that the bond market applies a rounding to the 7th decimal on the equivalent price expressed in percentage when calculating the net amount of a trade on French T-Bills (FTB) and on Bond STRIPS (as explained in this document). This recommendation aims to harmonize, among trading venues, the applicable rounding rule on the equivalent price expressed in percentage when calculating the net amount of a trade on a zero coupon financial instrument.

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last update 04 November 2019